[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Robert A Yaffee <bob.yaffee@nyu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: How to test autocorrelation in the disturbance in asystem of equations? |

Date |
Tue, 01 Jul 2008 13:45:40 -0400 |

Valerie, If you are running reg3 and save your residuals from each equation, calling them residi, where i=the equation number, you should be able to very simply apply and acf to them, with the command: ac residi and pac residi Regards, Bob Yaffee Robert A. Yaffee, Ph.D. Research Professor Silver School of Social Work New York University ----- Original Message ----- From: Valerie Orozco <Valerie.Orozco@toulouse.inra.fr> Date: Tuesday, July 1, 2008 11:08 am Subject: st: How to test autocorrelation in the disturbance in a system of equations? To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> > Dear all, > > I posted my question some days ago but have no answer. I try to > explain it in a better way. > I'm estimating a system of equations (by 3SLS with "reg3") (20 equations) > I'm wondering if a joint test for autocorrelation in the disturbance > exists in such simultaneous model. > > I know the durbin Watson test, breush godfrey test, and ljung box test > to test the correlation in the disturbance of one equation (after "regress"). > Thus, in my system of equations, I am able to test each equation > separately (programming the durbin Watson or ljung box formula for > each of all the equation). But I would like to know if there exists a > way to test the autocorrelation globally (i.e a joint test) > (even if I have to program it) > > If you have any idea... > > Thank you very much. > > valérie > > ------------------------------- > Valérie OROZCO > Toulouse School of Economics (INRA-GREMAQ) > 21, allée de Brienne > F-31000 Toulouse, France > ------------------------------- > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: How to test autocorrelation in the disturbance in a system of equations?***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**References**:**st: How to test autocorrelation in the disturbance in a system ofequations?***From:*Valerie Orozco <Valerie.Orozco@toulouse.inra.fr>

- Prev by Date:
**st: inputst** - Next by Date:
**Re: st: problem in uploading data into Stata - data "changes"** - Previous by thread:
**st: How to test autocorrelation in the disturbance in a system ofequations?** - Next by thread:
**RE: st: How to test autocorrelation in the disturbance in a system of equations?** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |